I am fooling around with a paper that talks about how to "do inferences, like
constructing confidence intervals, with the bootstrap method for inference...
because the assumption of i.i.d erros is reasonable... also... it is unlikely
that the cumulative distribution functions of our estimators are approximately
normal."
He also says "... we have to ensure that the residual errors are not correlated.
If the errors exhibit some correlation, then a transformation of the residuals
is in order."
S-PLUS has functions for this, but MATLAB does not. Can anyone provide an
m-file, snippet, reference or discussion?
He references:
Efron (1982) The Jacknife, the Bootstap and Other Resampling Plans,
Philadelphia: Society for Industrial Applied Mathematics.
Seber and WIld (1989) Nonlinear Regression, New York, John Wley & sons
Shao and Tu (1995) The Jacknife and Boootstrap, New York, Springer
Michael Robbins, CFA
Director, Debt Capital Markets
CIBC World Markets Corp., Canadian Imperial Bank of Commerce
New York, NY USA
[EMAIL PROTECTED] , [EMAIL PROTECTED]
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